Conditional VAR forecast

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dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: Conditional VAR forecast

Postby dakila » Tue Apr 04, 2017 7:51 am

First, if you need logged variable you must create the logged variable before the VAR model estimation.
Then estimate the VAR model with the created series.
For example:

Code: Select all

series logy=log(y)
...
var01.bvar(prior=sznw,initcov=full,l0=0.1,l1=0.2,l3=2,mu1=0.4) 1 4  logy loginc logcons logmdcpi logccpi logwti logcpi logprod logw logemp ur ffr t10y r_aaa_m logsp500 dy_sp logfx  @ c @seas(1) @during("2008q4")

After that the confcast add-in works
For example:

Code: Select all

var01.confcast logy 2017q4 0.02

paolo.zanghieri
Posts: 8
Joined: Wed Mar 05, 2014 10:52 am

Re: Conditional VAR forecast

Postby paolo.zanghieri » Thu Apr 06, 2017 1:49 am

Thanks a lot. If I understand correctly I can fix just one variable, right?
Best
Paolo

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: Conditional VAR forecast

Postby dakila » Thu Apr 06, 2017 5:47 am

No. You can constrain more than one variable.
For example:
var01.confcast "logy logcons" "2017q4 2017q4" "0.02 0.03"


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